The contagion channels of July-August-2011 stock market crash: A DAG-copula based approach
详细信息 查看全文
- 作者：Selma Jayech ; salma_jay@yahoo.fr" class="auth_mail" title="E-mail the corresponding author
- 关键词：2011 stock market crash ; Financial contagion ; Transmission channels ; Copula functions ; Directed acyclic graph
- 刊名：European Journal of Operational Research
- 出版年：2016
- 出版时间：1 March 2016
- 年：2016
- 卷：249
- 期：2
- 页码：631-646
- 全文大小：1165 K
文摘
- •
We examine the financial contagion between stock markets.
- •
We identify the possible channels of transmission of the 2011 stock market crash.
- •
We use the DAG-copula based approach to study the structure of causal dependence.
- •
Diversification benefits are limited especially during crisis periods.